The Plain and Simple Guide to Successful Strategies 4 pdf

... 103 1 04 105 Cost of put 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 Value of put at expiration 10 9 8 7 6 5 4 3 2 1 0 0 0 0 0 0 Profit/loss 6 5 4 3 2 1 0 –1 –2 –3 4 4 4 4 4 4 The break-even ... 102 103 1 04 105 106 107 108 109 110 Income from call 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 Value of call at expiration 0 0 0 0 0 0 –1 –2 –3 4 –5 –6 –7 –8 –9 –10 Pro...

Ngày tải lên: 20/06/2014, 20:20

... 60 1 / 8 0.99 1 / 8 0.01 340 41 1 / 8 0.92 1 1 / 4 0.08 360 24 5 / 8 0.76 4 3 / 4 0. 24 380 12 1 / 2 0.51 12 1 / 2 0 .48 40 0 5 3 / 8 0.28 25 1 / 4 0.72 42 0 1 7 / 8 0.12 41 7 / 8 0.83 44 0 5 / 8 0. 04 60 1 / 2 0.96 1 The ... 6800 6700 6600 6500 640 0 6300 6200 6100 6000 5900 5800 5700 5600 5500 540 0 5300 5200 5100 5000 49 00 48 00 47 00 46 00 45 00 44 00 43 0...

Ngày tải lên: 20/06/2014, 20:20

... –5.00 4. 11 0.00 0.00 0.00 0.00 0.00 Profit/loss –5.89 –0.89 0.00 4. 11 4. 11 0.00 –0.89 –0.89 Figure 9 .4 is a graph of the expiration profit/loss. 4 6 2 0 –2 4 –6 –8 30 32.5 35 37.5 40 42 .5 45 47 .5 50 ... 49 .59 The lower break-even level is calculated as the lower strike minus the maximum profit, or 45 .00 – 4. 59 = 40 .41 . Below the lower break-even level th...

Ngày tải lên: 20/06/2014, 20:20

... is the strike price of the higher put minus the total income from the spread, or 340 – 5.5 = 3 34. 5. The maximum downside loss is the difference between put strikes minus the income from the ... level is the higher put strike minus the cost of the spread, or 340 – 5.5 = 3 34. 5. The maximum downside profit is the difference between put strikes minus the cost of...

Ngày tải lên: 20/06/2014, 20:20

... 1 24 0.07 9.00 0.08 125 0. 14 8.91 0. 14 126 2.26 8.59 0.77 0.25 8.68 0.23 127 1 .44 8 .44 0.65 0 .42 8 .42 0.35 *128 1.05 8. 14 0.51 1. 04 8.26 0 .49 129 0 .43 8.30 0.36 1 .41 8.32 0.63 130 0.25 8 .40 ... 9 .44 3.29 9 .45 132 0.59 9. 54 1 34 0. 34 9.58 136 0.20 9. 84 138 0.11 9.98 140 0.07 10 .45 142 0. 04 10.70 144 0.02 10.76 146 0.01 10.86 Source: Data courtesy of pmpu...

Ngày tải lên: 20/06/2014, 20:20

... on the other hand, you sell the call at 34. 40 and pay 33.70 for the put, then you have sold the synthetic future at 1 140 .70. Here, you have the obligation to sell the future above 1 140 , and the ... 1 140 .70 December 1 140 call at 34. 40 December 1 140 put at 33.70 Here, you could sell the call at 34. 40, pay 33.70 for the put, and pay 1 140 .70 for the fut...

Ngày tải lên: 20/06/2014, 20:20

... trade them close to expiration in order to clear options off our books and to avoid pin risk. But then again, the arbs try to pay 19.75 for the above box, and they try to sell it at 20.25. They ... short the 100 synthetic and long the 105 synthetic for a credit of five. Your sale holds its value until expiry, at which time the synthetics pair off, and you pay...

Ngày tải lên: 20/06/2014, 20:20

... paid for the put. (c) If the return on a sale of the stock is 0.50 per cent, then no more than £0 .40 must be paid for the synthetic over the bid price of the stock. Bearing in mind that the options ... 57.5 = 42 .5 v) [550 – 46 0] – 57.5 = 32.5 vi) 57.5 vii) 607.5 – 49 2.5 = 115 2 (a) i) 2.05 + 1 .45 – 0.82 – 0. 34 = 2. 34 debit ii) 55 + 2. 34 = 57. 34 iii) 50 – 2. 34...

Ngày tải lên: 20/06/2014, 20:20

... 149 iron see separate entry long at -the- money call 143 long at -the- money put 145 –6 long out-of -the- money call 141 –2 long out-of -the- money put 144 –5 non-adjacent strikes 147 –8 short at -the- money ... models 34, 37–9 bell curve 37–9, 44 –5 comparing historical and implied volatility 43 conventional usage 43 historical volatility of underlying 39 41 , 43 imp...

Ngày tải lên: 20/06/2014, 20:20

... stock at the strike price, or 45 . The cost of your stock purchase will be effectively reduced by the credit of the spread. For exam- ple, if the stock closes at 45 and you are assigned on the ... 11 .4 102 Part 2  Options spreads Table 10.1 Coca-Cola August options Strike 40 .00 42 .50 45 .00 47 .50 50.00 52.50 55.00 57.50 60.00 June calls 4. 04 2.52 1 .45 0.79 0...

Ngày tải lên: 21/06/2014, 00:20